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Theory and application of an economic performance measure of risk
Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - 2017
Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence...
Persistent link: https://www.econbiz.de/10011688326
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Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data
Kuo, Hsiao-I - 2009
This paper investigates the impacts of Avian Flu on global and Asian tourism using panel data procedures. Both static … and dynamic fixed effects panel data models are adopted to estimate the impacts of this infectious disease. The empirical … results from static and dynamic fixed effects panel data models are consistent and indicate that the numbers of affected …
Persistent link: https://www.econbiz.de/10012718479
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Is one diagnostic test for COVID-19 enough?
McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 4/77, pp. 1-3
There is no doubt about the importance of diagnostic testing in an emergency; specifically, which range of tests is available, where and when they are dispensed, and who might be tested using laboratory-developed tests, or other diagnostic tests including experimental tests. This includes...
Persistent link: https://www.econbiz.de/10012302713
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A General Asymptotic Theory for Time Series Models
Ling, Shiqing - 2009
This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class...
Persistent link: https://www.econbiz.de/10013155180
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Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors
Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...
Persistent link: https://www.econbiz.de/10001644304
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Spurious relationships for nearly non-stationary series
Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24
Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...
Persistent link: https://www.econbiz.de/10012626690
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A Trinomial Test for Paired Data When There are Many Ties
Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - Institute of Economic Research, Kyoto University - 2010
This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...
Persistent link: https://www.econbiz.de/10008670444
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A Trinomial Test for Paired Data When There are Many Ties
McAleer, Michael; Wong, Wing-Keung; Bian, Bian, G. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...
Persistent link: https://www.econbiz.de/10010731611
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A trinomial test for paired data when there are many ties
Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 6, pp. 1153-1160
This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...
Persistent link: https://www.econbiz.de/10010870608
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A Trinomial Test for Paired Data When There are Many Ties
McAleer, Michael; Wong, Wing-Keung; Bian, Bian, G. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero di®erences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...
Persistent link: https://www.econbiz.de/10010837929